The Fama and French factor-ranking approach (1992, 1993, etc.) has been extensively applied in quantitative fund management. However, this approach suffers from hidden factor view, information inefficiency, etc. issues. Based on the Black--Litterman model (1992; as explained in Cheung 2010b), we...

We derive and interpret the mathematical principles for portfolio selection. We show these principles not only guarantee efficiency and value-adding, but also ideally address Treynor and Black (1973)’s long-standing normative call for reconciling subjective analyst views with objective...

We demystify why, after 70 years of the Markowitz Modern Portfolio Theory (MPT) publication, the investment-management industry still persistently favours some seemingly disconnected rules-of-thumb or behaviours (e.g., equal-weighting, risk-parity, factor-ranking etc.), and validate the...